Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

Using quantitative analysis hundreds of indicators and several dozen models are employed. Many of these indicators have been tested though market cycles dating back to the early 1900’s and include both technical and fundamental analysis. Alignments in the groups of indicators at inflection points determine the direction and the potential magnitude of the outcome to stock prices. Categories in which these indicators fall into are numerous and although not exclusive are as follows: the stock market structure, momentum, overbought and oversold, market sentiment and contrarian tools, valuations, monetary and macro factors. Each of these categories has different forecasting values and timeliness. Combining groups of indicators into an overlay can enhance the reliability of a signal. The models and indicators are also used to identify in advance the market climate likely to be encountered, whether trending or range bound, enabling the principle objective of GMI which is to profit from all types of markets while using strict control measures to minimize risk. Analysis and research to improve systems and strategies is an ongoing process. There is also a veto power on the indicators and models, which may be implemented during unique circumstances to potentially reduce risk.

Performance Statistics

Date Range: 12/11 - 04/19

Program

S&P 500

Altegris 40

Total Return

93.19%

175.90%

7.29%

Annualized Return

9.39%

14.66%

0.95%

Annualized Std. Deviation

8.67%

10.68%

8.34%

Correlation

0.98

0.14

Sharpe Ratio (rf=2.5%)

0.80

1.14

-0.19

Worst Month

-7.32%

-9.03%

-6.10%

Date of Worst Month

12/2018

12/2018

02/2018

Worst Drawdown

-11.25%

-13.52%

-13.63%

Date of Worst Drawdown

9/18 - 12/18

9/18 - 12/18

3/15 - 1/19

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 12/11 - 04/19

Year or YTD

Program

S&P 500

Altegris 40

2019

14.50

18.24

5.17

2018

-4.67

-4.38

-4.29

2017

16.35

21.84

1.24

2016

7.69

11.98

-3.13

2015

-1.17

1.41

0.09

2014

8.74

13.69

15.75

2013

25.16

32.41

-2.45

2012

5.01

15.98

-4.75

Note: Estimates appear in italics. All performance data is since program inception.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent
upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill,
and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable
in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you
for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed
Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial
trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade
highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or
liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.